if you've already bought the domain through wordpress.com, you don't have to give up the traffic from tag pages. as long as you retain your wp.com blog as well as your self-hosted blog, you can post the same thing in both interfaces, and your wordpress.com entry will show up in global tags, but the domain upgrade will redirect traffic to your self-hosted blog.
in theory, the "canonical URL's" feature of WP2.3 should handle variations in permalink structure, but you might need the permalink redirect plugin. here's how i did it, YMMV
Caveat: you'll never make the front page, since any stats will land on your self-hosted blog, rather than wp.com.